





















Factor Analysis is about finding a low-rank plus sparse additive decomposition from a noisy estimate of the signal covariance matrix. In order to get such a decomposition, we formulate an optimization problem using the nuclear norm for the low-rank component, the $\ell_0$ norm for the sparse component, and the Kullback-Leibler divergence to control the residual in the sample covariance matrix. An alternating minimization algorithm is designed for the solution of the optimization problem. The effectiveness of the algorithm is verified via simulations on synthetic and real datasets.
此内容由惯性聚合(RSS阅读器)自动聚合整理,仅供阅读参考。 原文来自 — 版权归原作者所有。